This paper develops large-scale Bayesian Vector Autoregressive (BVAR) models, based on 268 quarterly series, for forecasting annualized real house price growth rates for large-, medium- and small-middle-segment housing for ...

PURPOSE – This paper seeks to assess the impact of monetary policy on house price inflation for the nine census divisions of the US economy. DESIGN/METHODOLOGY/APPROACH – A factor-augmented VAR (FAVAR) model is estimated ...

This paper compares the forecasting ability of five alternative types of models in predicting four key macroeconomic variables, namely, per capita growth rate, the CPI inflation, the money market rate, and the growth ...

We employ a 10-variable dynamic structural general equilibrium model to forecast the US real house price index as well as its turning point in 2006:Q2. We also examine various Bayesian and classical time-series models ...

This paper uses large Factor Models (FMs), which accommodate a large cross-section of macroeconomic time series for forecasting the per capita growth rate, inflation, and the nominal short-term interest rate for the South ...

Several Bayesian and classical models are used to forecast house prices in 20 states in the United States. There are two approaches: extracting common factors (principle components) in a factor-augmented vector autoregressive ...